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Asymmetric volatility spillovers between Bitcoin, oil, and global stocks in economic uncertainty

Surachai Chancharat; Parichat Sinlapates - In: International journal of monetary economics and finance … 17 (2024) 2/3, pp. 238-246

Persistent link: https://www.econbiz.de/10015066145

Return and volatility linkages between Bitcoin, gold price, and oil price : evidence from diagonal BEKK-GARCH model

Surachai Chancharat; Julaluk Butda - 2022

Persistent link: https://www.econbiz.de/10013197429

Risk spillovers between Bitcoin and ASEAN+6 Stock markets before and after COVID-19 outbreak : a comparative analysis with gold

Parichat Sinlapates; Tanit Sriwong; Surachai Chancharat - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-17

This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide...

Persistent link: https://www.econbiz.de/10014305903

Dynamic linkages between Thai and international stock markets

Valadkhani, Abbas; Chancharat, Surachai - In: Journal of economic studies 35 (2008) 5/6, pp. 425-441

Persistent link: https://www.econbiz.de/10003778695

The interplay between the Thai and several other international stock markets

Valadkhani, Abbas (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003383568

An empirical analysis of the Thai and major international stock markets

Chancharat, Surachai (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003605743

Testing for the random walk hypothesis and structural breaks in international stock prices

Chancharat, Surachai (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003605754

Chapter 4 Return and Volatility Linkages between Bitcoin, Gold Price, and Oil Price: Evidence from Diagonal BEKK–GARCH Model

Chancharat, Surachai; Butda, Julaluk - In: Environmental, social, and governance perspectives on …, (pp. 69-81). 2021

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or...

Persistent link: https://www.econbiz.de/10015085784